Which AV are you actually using as resident, as I'm slightly confused ?
I'm not familiar with McAfee as this is the avast antivirus support forum, but as far as I'm aware artemis! is the heuristic detection of McAfee. Heuristic detections can be difficult to determine a) if they are correct and b) exactly what it may have been.
You could also check out these programs below, as the "Your Computer is Infected" is very fake security alert/rogue program and the first, MBAM is particularly good at rooting them out.
If you haven't already got this software (freeware), download, install, update and run it and report the findings (it should product a log file).
Don't worry about reported tracking cookies they are a minor issue and not one of security, allow SAS to deal with them though. - See
http://en.wikipedia.org/wiki/HTTP_cookie.
I take it the McAfee forums aren't very helpful then
